Template-Type: ReDIF-Paper 1.0
Author-Name: Sergei Seleznev
Author-Email: SeleznevSM@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation


Title: Solving DSGE models with stochastic trends
Abstract: We propose an algorithm for solving DSGE models with stochastic trends. Several implementations help us to solve the model with a small number of stochastic trends in the absence of a balanced growth path fast and allow us to control the accuracy of approximation in a certain range. Taking into account the fact that many implementations can be easily parallelized, this algorithm enables the estimation of models in the absence of a balanced growth path. We also provide a number of possible methods for estimation.
Length: 27 pages
Creation-Date: 2016-09
Revision-Date:
Publication-Status:
File-URL: http://www.cbr.ru/Content/Document/File/87564/wps_15_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps15
Classification-JEL: C61, C63.
Keywords: Non-stationary DSGE, stochastic trends, Smolyak’s algorithm, perturbation method.
Handle: RePEc:bkr:wpaper:wps15